Bloomberg’s FRTB SA solution features capital numbers that are calculated bottom up from their risk factor and individual position components. The solution enables you to drill into individual sensitivity calculations both at the firm and instrument level.

2013年10月31日 · The Basel Committee on Banking Supervision has today issued a second consultative paper on the fundamental review of capital requirements for the trading book. The paper comprises a detailed set of proposals for a comprehensive revision of the …

book (FRTB) a new framework to replace the old market risk regulation defined under “Basel II.5”. The intention is “to improve trading book capital requirements and to promote consistent implementation of the rules so that they produce comparable levels of capital across jurisdictions”. Fig. 3 Key objectives of the FRTB

FRTB-SA is a Basel Committee on Banking Supervision regulatory framework. It standardizes the calculation of capital requirements for risk factors. As part of the Basel III framework, it is globally implemented to ensure uniformity in calculating capital requirements for risk factors across financial institutions.

The Fundamental Review of the Trading Book (FRTB) provides a clear definition of the boundary between the trading book and the banking book. It consists of an overhaul of the internal model approach (IMA) to focus on tail risk and an overhaul of the standardized approach (SA) to make it more risk sensitive.

由于今年新冠疫情的影响，frtb，也就是新一代的巴塞尔市场风险监管资本协议的实施被再次推后了。最新的实施时间为2023年1月1日。frtb对于金融机构市场风险管理的整体框架，包括数据，模型以及组织结构都提出了许多…

Simplified Standardised Approach (S-SA): The Simplified Standardised Approach (S-SA) modifies the existing standardised approach for market risk by applying supervisory factors, and it's applicable under certain conditions. This entails a monthly evaluation of the institution's on-balance and off-balance sheet exposures to market risk.

Bloomberg’s FRTB Data Solution spans regulatory data, funds data, pricing data and reference data which are necessary to compute the impact of FRTB across the entirety of banks’ portfolios and...

2022年2月10日 · FRTB，全称Fundamental Review of the Trading Book，中文名为“交易账簿的基本审查”，是金融业监管中的一个相当热门的领域。 2019年1月，巴塞尔银行监管委员会正式发布了《市场风险最低资本要求》。 该文件是最终版巴塞尔协议的重要组成部分，重新修订了市场风险的整体监管框架，调整了交易账簿和银行账簿的边界定义与流程要求，更新了市场风险资本计量方法论体系，并引入了对交易台管理、中后台计量一致性、市场流动性调整、风险因子可建模性的 …

Standardised Approach (SA) is a set of rules to calculate capital requirements based on regulatory prescribed parameters. The SA calculations are detailed in nature and are based on the Sensitivity-Based approach, namely sensitivities of the positions to a pre-defined risk factor.